Work the shortening with a spoon until fluffy and creamy; add the sugar gradually while confining to work with a spoon until light.
Add the beaten egg yolk, orange- and lemon rind, vanilla, and lemon juice, and mix well.
Add the flour and mix well; wrap in waxed paper and chill for several hours or overnight in refrigerator.
Roll into small balls 1/2" in diameter; roll in the egg white slightly beaten, then in the walnut meats.
Place on greased or oiled cookie sheets and press a small piece of cherry on each.
Bake in a moderate oven of 350°F for 20 min.